What steps forward were actually steps backward?

None yet. Though I am still young, on my third system, and have only been in the hobby for three years. So it is doubtless I will make some mistakes in the future! But so far all up my upgrades have been vast improvements. I've been mostly upgrading from lesser components to better ones. So all in all I've been most satisfied thus far!

I imagine a lot of the responses you are going to get are one of two things

1. Did a lateral 'upgrade' to a comparable item. Didn't like the change in sound.

2. Bought something based solely on someone else's opinion (magazine, internet review, internet buzz, dealer buzz, etc) without extensively auditioning in one's own system first. And was let down as a result.

Audio Research CD2:graced the cover of Stereophile in 1998.After 2 months of trying to burn it in i started using it as a transport only,but "sonic rainbow" as they said on the cover it is not.(good transport though)
Conrad Johnson MF 2500A:i bought a pair for vertical biamping of my Snell type B,but they failed to bring them to life.Light jazz and guitar and vocals are fine but my rock collection was rendered useless after this purchase
Also Theta digital transport was a nightmare,but i cannot recall the transport's name because it was turned back to the store in a day (i believe it was a transport only version of their Miles model)

Spendor SP100's. I read so many positive reviews that I had to own a pair. Somehow the reviews failed to indicate that, in a small room, they would not put out bass without being driven loud enough to loosen teeth.

Although no one is always right in any field, I have never regretted a purchase made after first listening in my own systems.
Since we all buy something, sooner or later, before hearing at home, trying to stick with what is recommended on Audiogon, or more than one of the "professional" reviewers, allows for re-sale to someone where the system synergy is better.
Home trials can be very helpful in finding high value for the money, and in training our ears to hear differences that a newcomer to the audio listening hobby considers only jargon, or stock phrases.

New Thiel 2.4's. After months of breaking them in with all the 'right' components backing them, I bailed. On less than perfect material they were just too harsh & revealing. The treble energy always had me reaching for the volume knob or listening from another room in the house. I will admit they were incredible on the right material, just not my cup of tea overall.